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Unfortunately doesn't works, I get the following error OLE DB provider "SQLNCLI10" for linked server "LinkedServer" returned message "Deferred prepare could not be completed.".
– GreenhornMar 6 '13 at 13:40

I will give it a try the other way around, I will first select the data from the linked server and then the local one. Thanks for your time :)
– GreenhornMar 6 '13 at 13:42

I looked up that error, and it could be that I need to explicitly use the DB name in the OPENQUERY. I might need to use [LinkedServer].[dbo].[PETS]. Is the DB on the other server actually called LinkedServer?
– Dave JohnsonMar 6 '13 at 13:46